Non-concave portfolio optimization with average value-at-risk (Q6113171): Difference between revisions

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-.1007/s11579-023-00332-0
@@ Property / DOI: 10.1007/s11579-023-00332-0 / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s11579-023-00332-0
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+W4323050601
@@ Property / OpenAlex ID: W4323050601 / rank @@
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@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
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+OPTIMAL INSURANCE DESIGN UNDER RANK‐DEPENDENT EXPECTED UTILITY
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+Constrained non-concave utility maximization: an application to life insurance contracts with guarantees
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+Optimal investment under VaR-regulation and minimum insurance
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+Risk management with multiple VaR constraints
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+Stochastic finance. An introduction in discrete time.
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+PORTFOLIO CHOICE VIA QUANTILES
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+BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
@@ Property / cites work: BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME / rank @@
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+BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
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+On the Measurement of Economic Tail Risk
@@ Property / cites work: On the Measurement of Economic Tail Risk / rank @@
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+Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts
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+Utility maximization with a given pricing measure when the utility is not necessarily concave
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+On the construction of optimal payoffs
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+Advances in prospect theory: cumulative representation of uncertainty
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+Risk management with weighted VaR
@@ Property / cites work: Risk management with weighted VaR / rank @@
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+Risk management with expected shortfall
@@ Property / cites work: Risk management with expected shortfall / rank @@
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+A NOTE ON THE QUANTILE FORMULATION
@@ Property / cites work: A NOTE ON THE QUANTILE FORMULATION / rank @@
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@@ Property / DOI @@
+.1007/S11579-023-00332-0
@@ Property / DOI: 10.1007/S11579-023-00332-0 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:6113171